In [1]:
# -*- coding: utf-8 -*-
"""
Created on 2023/1/31 14:14
@author: Susan
"""
import pandas as pd
from pt_utils.PairTrading import PairTrading
trans_start = '2019-01-01'
end_date = '2022-01-01'
out_folder = 'pt_result/'
n_rev, n_reva = 0, 0
col = ['stock_0', 'stock_1', '配对系数', '已平仓实现收益', '总盈亏', 'entry_level', 'exit_level', 'trading_tlist']
nres_df = pd.DataFrame(columns=col)
while trans_start <= end_date:
pt = PairTrading(trans_start, trans_start, 'pt_result/', c=0.0015, c_ratio=0.0015, pair_num=20)
res_df, rev, reva = pt.run()
nres_df = pd.concat([nres_df, res_df], ignore_index=True)
n_rev += rev
n_reva += reva
trans_start = pt.trans_end
res_r = [None, None, None, n_rev, n_reva, None, None, None]
res_dict = dict(zip(col, res_r))
nres_df = nres_df.append(res_dict, ignore_index=True)
print(nres_df)
nres_df.to_csv(out_folder + '交易收益汇总.csv', index=False)
formation start 2018-01-01 formation end 2019-01-01 transaction start 2019-01-01 transaction end 2019-07-01 RESULTS will be saved at pt_result//2019-01-01_1Y_2019-01-01_6M/
100%|██████████| 32/32 [00:23<00:00, 1.35it/s] 100%|██████████| 20/20 [00:05<00:00, 3.85it/s]
formation start 2018-07-01 formation end 2019-07-01 transaction start 2019-07-01 transaction end 2020-01-01 RESULTS will be saved at pt_result//2019-07-01_1Y_2019-07-01_6M/
100%|██████████| 32/32 [00:33<00:00, 1.04s/it] 100%|██████████| 20/20 [00:05<00:00, 3.69it/s]
formation start 2019-01-01 formation end 2020-01-01 transaction start 2020-01-01 transaction end 2020-07-01 RESULTS will be saved at pt_result//2020-01-01_1Y_2020-01-01_6M/
100%|██████████| 32/32 [00:36<00:00, 1.13s/it] 100%|██████████| 20/20 [00:05<00:00, 3.96it/s]
formation start 2019-07-01 formation end 2020-07-01 transaction start 2020-07-01 transaction end 2021-01-01 RESULTS will be saved at pt_result//2020-07-01_1Y_2020-07-01_6M/
100%|██████████| 32/32 [00:39<00:00, 1.25s/it] 100%|██████████| 20/20 [00:05<00:00, 3.69it/s]
formation start 2020-01-01 formation end 2021-01-01 transaction start 2021-01-01 transaction end 2021-07-01 RESULTS will be saved at pt_result//2021-01-01_1Y_2021-01-01_6M/
100%|██████████| 32/32 [00:40<00:00, 1.25s/it] 100%|██████████| 20/20 [00:05<00:00, 3.59it/s]
formation start 2020-07-01 formation end 2021-07-01 transaction start 2021-07-01 transaction end 2022-01-01 RESULTS will be saved at pt_result//2021-07-01_1Y_2021-07-01_6M/
100%|██████████| 32/32 [00:46<00:00, 1.45s/it] 100%|██████████| 20/20 [00:05<00:00, 3.94it/s]
formation start 2021-01-01 formation end 2022-01-01 transaction start 2022-01-01 transaction end 2022-07-01 RESULTS will be saved at pt_result//2022-01-01_1Y_2022-01-01_6M/
100%|██████████| 32/32 [00:58<00:00, 1.82s/it] 100%|██████████| 20/20 [00:06<00:00, 3.23it/s]
stock_0 stock_1 配对系数 已平仓实现收益 总盈亏 entry_level \
0 603277.SH 603321.SH 1.133581 2.507954 1.479894 -0.021009
1 300639.SZ 300676.SZ 0.803833 5.027589 5.027589 -0.033275
2 600405.SH 600152.SH 1.240165 0.0 -7.368431 -0.03652
3 000710.SZ 601965.SH 2.023435 0.0 -84.213657 -0.038621
4 300669.SZ 603331.SH 1.083117 1.446763 -1.164487 -0.014075
.. ... ... ... ... ... ...
143 002950.SZ 300888.SZ 0.688006 0 0 -0.030945
144 002493.SZ 600346.SH 0.998592 13.872489 13.872489 -0.021739
145 002141.SZ 002806.SZ 1.160418 0.786193 0.786193 -0.008139
146 formation 2021-01-01 2022-01-01 66.701441 129.118236 transaction
147 NaN NaN NaN 1717.022085 1272.848712 NaN
exit_level trading_tlist
0 0.021009 [2019-01-16 00:00:00, 2019-01-17 00:00:00, 201...
1 0.033275 [2019-03-04 00:00:00, 2019-03-13 00:00:00]
2 0.03652 [2019-01-02 00:00:00]
3 0.038621 [2019-01-02 00:00:00]
4 0.014075 [2019-01-02 00:00:00, 2019-05-20 00:00:00, 201...
.. ... ...
143 0.030945 []
144 0.021739 [2022-04-11 00:00:00, 2022-06-13 00:00:00]
145 0.008139 [2022-04-18 00:00:00, 2022-04-21 00:00:00]
146 2022-01-01 2022-07-01
147 NaN NaN
[148 rows x 8 columns]
